05432nam 22006974a 450 991014610480332120200520144314.01-119-20910-21-282-34291-697866123429120-470-72546-X(CKB)1000000000724391(EBL)470125(OCoLC)608624309(SSID)ssj0000302387(PQKBManifestationID)11241665(PQKBTitleCode)TC0000302387(PQKBWorkID)10267583(PQKB)11547255(Au-PeEL)EBL470125(CaPaEBR)ebr10300926(CaONFJC)MIL234291(OCoLC-P)608624309(CaSebORM)9780470029626(MiAaPQ)EBC470125(EXLCZ)99100000000072439120071018d2007 uy 0engur|n|---|||||txtccrManaging energy risk[electronic resource] an integrated view on power and other energy markets /Markus Burger, Bernhard Graeber, Gero Schindlmayr1st editionChichester, England ;Hoboken, NJ John Wiley & Sonsc20071 online resource (318 p.)Wiley finance seriesDescription based upon print version of record.0-470-02962-5 Includes bibliographical references (p. [291]-294) and index.Managing Energy Risk; Contents; Foreword; Preface; 1 Energy Markets; 1.1 The oil market; 1.1.1 Consumption, production and reserves; 1.1.2 Crude oil trading; 1.1.3 Refined oil products; 1.2 The natural gas market; 1.2.1 Consumption, production and reserves; 1.2.2 Natural gas trading; 1.2.3 Price formulas with oil indexation; 1.2.4 Liquefied natural gas; 1.3 The coal market; 1.3.1 Consumption, production and reserves; 1.3.2 Coal trading; 1.3.3 Freight; 1.3.4 Coal subsidies in Germany: BAFA-indexed prices; 1.4 The electricity market; 1.4.1 Consumption and production; 1.4.2 Electricity trading1.4.3 Products in the electricity markets1.4.4 Energy exchanges; 1.5 The emissions market; 1.5.1 Kyoto Protocol; 1.5.2 EU emissions trading scheme; 1.5.3 Flexible mechanisms; 1.5.4 Products and market places; 1.5.5 Emissions trading in North America; 2 Energy Derivatives; 2.1 Forwards, futures and swaps; 2.1.1 Forward contracts; 2.1.2 Futures contracts; 2.1.3 Swaps; 2.2 "Plain vanilla" options; 2.2.1 The put-call parity and option strategies; 2.2.2 Black's futures price model; 2.2.3 Option pricing formulas; 2.2.4 Hedging options: the "Greeks"2.2.5 Implied volatilities and the "volatility smile"2.2.6 Swaptions; 2.3 American and Asian options; 2.3.1 American options; 2.3.2 Asian options; 2.4 Commodity bonds and loans; 2.5 Multi-underlying options; 2.5.1 Basket options; 2.5.2 Spread options; 2.5.3 Quanto and composite options; 2.6 Spot price options; 2.6.1 Pricing spot price options; 2.6.2 Caps and floors; 2.6.3 Swing options; 2.6.4 Virtual storage; 3 Commodity Price Models; 3.1 Forward curves and the market price of risk; 3.1.1 Investment assets; 3.1.2 Consumption assets and convenience yield3.1.3 Contango, backwardation and seasonality3.1.4 The market price of risk; 3.1.5 Derivatives pricing and the risk-neutral measure; 3.2 Commodity spot price models; 3.2.1 Geometric Brownian motion; 3.2.2 The one-factor Schwartz model; 3.2.3 The Schwartz-Smith model; 3.3 Stochastic forward curve models; 3.3.1 One-factor forward curve models; 3.3.2 A two-factor forward curve model; 3.3.3 A multi-factor exponential model; 3.4 Electricity price models; 3.4.1 The hourly forward curve; 3.4.2 The SMaPS model; 3.4.3 Regime-switching model; 3.5 Multi-commodity models; 3.5.1 Regression analysis3.5.2 Correlation analysis3.5.3 Cointegration; 3.5.4 Model building; 4 Fundamental Market Models; 4.1 Fundamental price drivers in electricity markets; 4.1.1 Demand side; 4.1.2 Supply side; 4.1.3 Interconnections; 4.2 Economic power plant dispatch; 4.2.1 Thermal power plants; 4.2.2 Hydro power plants; 4.2.3 Optimisation methods; 4.3 Methodological approaches; 4.3.1 Merit order curve; 4.3.2 Optimisation models; 4.3.3 System dynamics; 4.3.4 Game theory; 4.4 Relevant system information for electricity market modelling; 4.4.1 Demand side; 4.4.2 Supply side; 4.4.3 Transmission system4.4.4 Historical data for backtestingMathematical techniques for trading and risk management. Managing Energy Risk closes the gap between modern techniques from financial mathematics and the practical implementation for trading and risk management. It takes a multi-commodity approach that covers the mutual influences of the markets for fuels, emission certificates, and power. It includes many practical examples and covers methods from financial mathematics as well as economics and energy-related models.Wiley finance series.Energy industriesRisk managementEnergy industriesRisk management.332.6722Burger Markus958661Graeber Bernhard972397Schindlmayr Gero972398MiAaPQMiAaPQMiAaPQBOOK9910146104803321Managing energy risk2211131UNINA